An agent strategy for automated stock market trading combining price and order book information

Gheorghe Cosmin Silaghi, Valentin Robu

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

5 Citations (Scopus)

Abstract

This paper proposes a novel automated agent strategy for stock market trading, developed in the context of the Penn-Lehman Automated Trading (PLAT) simulation platform [1]. We provide a comprehensive experimental validation of our strategy using historic order book data from the NASDAQ market.

Original languageEnglish
Title of host publication2005 ICSC Congress on Computational Intelligence Methods and Applications
PublisherIEEE
ISBN (Print)1424400201, 9781424400201
DOIs
Publication statusPublished - 1 Jan 2005
Externally publishedYes
Event2005 ICSC Congress on Computational Intelligence Methods and Applications - Istanbul, Turkey
Duration: 15 Dec 200517 Dec 2005

Publication series

Name2005 ICSC Congress on Computational Intelligence Methods and Applications
Volume2005

Conference

Conference2005 ICSC Congress on Computational Intelligence Methods and Applications
CountryTurkey
CityIstanbul
Period15/12/0517/12/05

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